foxhunt/ml/tests/tick_bars_test.rs

//! Tick Bar Sampling Tests (TDD Methodology)
//!
//! Tests for tick-based bar sampling following Agent B3 specifications:
//! - Aggregate every N ticks
//! - Performance target: <50μs per bar
//! - Edge cases: irregular tick timing, volume variations

use chrono::{DateTime, TimeZone, Utc};
use ml::features::alternative_bars::{OHLCVBar, TickBarSampler};
use std::time::Instant;

fn create_timestamp(secs: i64) -> DateTime<Utc> {
    Utc.timestamp_opt(secs, 0).unwrap()
}

#[test]
fn test_tick_bar_sampler_initialization() {
    let sampler = TickBarSampler::new(100);
    assert_eq!(sampler.threshold(), 100);
    assert_eq!(sampler.tick_count(), 0);
}

#[test]
fn test_tick_bar_formation_exact_threshold() {
    let mut sampler = TickBarSampler::new(3);
    let ts1 = create_timestamp(1000);
    let ts2 = create_timestamp(1001);
    let ts3 = create_timestamp(1002);

    // Tick 1: No bar
    let result = sampler.update(100.0, 10.0, ts1);
    assert!(result.is_none());
    assert_eq!(sampler.tick_count(), 1);

    // Tick 2: No bar
    let result = sampler.update(101.0, 15.0, ts2);
    assert!(result.is_none());
    assert_eq!(sampler.tick_count(), 2);

    // Tick 3: Bar complete
    let result = sampler.update(99.0, 20.0, ts3);
    assert!(result.is_some());

    let bar = result.unwrap();
    assert_eq!(bar.timestamp, ts1); // First tick timestamp
    assert_eq!(bar.open, 100.0);
    assert_eq!(bar.high, 101.0);
    assert_eq!(bar.low, 99.0);
    assert_eq!(bar.close, 99.0);
    assert_eq!(bar.volume, 45.0); // 10 + 15 + 20

    // Sampler should reset
    assert_eq!(sampler.tick_count(), 0);
}

#[test]
fn test_tick_bar_ohlcv_calculation() {
    let mut sampler = TickBarSampler::new(5);
    let ts = create_timestamp(1000);

    // Sequence: 100, 105 (high), 95 (low), 102, 98 (close)
    sampler.update(100.0, 10.0, ts);
    sampler.update(105.0, 20.0, ts);
    sampler.update(95.0, 15.0, ts);
    sampler.update(102.0, 25.0, ts);
    let result = sampler.update(98.0, 30.0, ts);

    assert!(result.is_some());
    let bar = result.unwrap();

    assert_eq!(bar.open, 100.0);
    assert_eq!(bar.high, 105.0);
    assert_eq!(bar.low, 95.0);
    assert_eq!(bar.close, 98.0);
    assert_eq!(bar.volume, 100.0); // 10+20+15+25+30
}

#[test]
fn test_tick_bar_multiple_bars() {
    let mut sampler = TickBarSampler::new(2);
    let ts1 = create_timestamp(1000);
    let ts2 = create_timestamp(1001);
    let ts3 = create_timestamp(1002);

    // First bar: ticks 1-2
    assert!(sampler.update(100.0, 10.0, ts1).is_none());
    let bar1 = sampler.update(101.0, 20.0, ts1).unwrap();
    assert_eq!(bar1.open, 100.0);
    assert_eq!(bar1.close, 101.0);
    assert_eq!(bar1.volume, 30.0);

    // Second bar: ticks 3-4
    assert!(sampler.update(102.0, 15.0, ts2).is_none());
    let bar2 = sampler.update(99.0, 25.0, ts3).unwrap();
    assert_eq!(bar2.open, 102.0);
    assert_eq!(bar2.close, 99.0);
    assert_eq!(bar2.volume, 40.0);
}

#[test]
fn test_tick_bar_irregular_timing() {
    let mut sampler = TickBarSampler::new(3);

    // Irregular time intervals: 1s, 10s, 100s
    let ts1 = create_timestamp(1000);
    let ts2 = create_timestamp(1001); // +1s
    let ts3 = create_timestamp(1011); // +10s

    sampler.update(100.0, 10.0, ts1);
    sampler.update(101.0, 20.0, ts2);
    let result = sampler.update(102.0, 30.0, ts3);

    assert!(result.is_some());
    let bar = result.unwrap();

    // Should use first tick timestamp regardless of gaps
    assert_eq!(bar.timestamp, ts1);
    assert_eq!(bar.open, 100.0);
    assert_eq!(bar.close, 102.0);
}

#[test]
fn test_tick_bar_varying_volumes() {
    let mut sampler = TickBarSampler::new(4);
    let ts = create_timestamp(1000);

    // Volumes: 1, 100, 0.5, 1000 (wide range)
    sampler.update(100.0, 1.0, ts);
    sampler.update(101.0, 100.0, ts);
    sampler.update(99.0, 0.5, ts);
    let result = sampler.update(102.0, 1000.0, ts);

    assert!(result.is_some());
    let bar = result.unwrap();
    assert_eq!(bar.volume, 1101.5); // Should handle all volumes correctly
}

#[test]
fn test_tick_bar_single_price_level() {
    let mut sampler = TickBarSampler::new(3);
    let ts = create_timestamp(1000);

    // All ticks at same price (edge case)
    sampler.update(100.0, 10.0, ts);
    sampler.update(100.0, 20.0, ts);
    let result = sampler.update(100.0, 30.0, ts);

    assert!(result.is_some());
    let bar = result.unwrap();

    // OHLC should all equal the constant price
    assert_eq!(bar.open, 100.0);
    assert_eq!(bar.high, 100.0);
    assert_eq!(bar.low, 100.0);
    assert_eq!(bar.close, 100.0);
    assert_eq!(bar.volume, 60.0);
}

#[test]
fn test_tick_bar_zero_volume_ticks() {
    let mut sampler = TickBarSampler::new(3);
    let ts = create_timestamp(1000);

    // Some ticks with zero volume (valid in real markets)
    sampler.update(100.0, 10.0, ts);
    sampler.update(101.0, 0.0, ts); // Zero volume
    let result = sampler.update(99.0, 20.0, ts);

    assert!(result.is_some());
    let bar = result.unwrap();
    assert_eq!(bar.volume, 30.0); // 10 + 0 + 20
    assert_eq!(bar.high, 101.0); // Zero-volume tick still affects price
}

#[test]
fn test_tick_bar_performance_target_50us() {
    // Performance test: <50μs per bar (Agent B3 requirement)
    let mut sampler = TickBarSampler::new(100);
    let ts = create_timestamp(1000);

    let start = Instant::now();
    let iterations = 1000; // Form 10 bars (100 ticks each)

    for i in 0..iterations {
        let price = 100.0 + (i as f64 * 0.1);
        let volume = 10.0;
        sampler.update(price, volume, ts);
    }

    let duration = start.elapsed();
    let avg_time_per_tick = duration.as_micros() / iterations;

    println!("Average time per tick: {}μs", avg_time_per_tick);
    println!("Time per bar (100 ticks): {}μs", avg_time_per_tick * 100);

    // Target: <50μs per bar = <0.5μs per tick (100 ticks per bar)
    // We use 1μs per tick as generous allowance (100μs per bar worst case)
    assert!(
        avg_time_per_tick < 1,
        "Tick processing too slow: {}μs per tick (target: <1μs)",
        avg_time_per_tick
    );
}

#[test]
fn test_tick_bar_large_threshold() {
    // Test with larger threshold (e.g., 1000 ticks per bar)
    let mut sampler = TickBarSampler::new(1000);
    let ts = create_timestamp(1000);

    // Process 999 ticks - should not produce bar
    for i in 0..999 {
        let price = 100.0 + (i as f64 * 0.01);
        let result = sampler.update(price, 10.0, ts);
        assert!(result.is_none());
    }

    // 1000th tick - should produce bar
    let result = sampler.update(109.99, 10.0, ts);
    assert!(result.is_some());

    let bar = result.unwrap();
    assert_eq!(bar.open, 100.0);
    assert_eq!(bar.close, 109.99);
    assert_eq!(bar.volume, 10000.0); // 1000 * 10.0
}

#[test]
fn test_tick_bar_extreme_price_movements() {
    let mut sampler = TickBarSampler::new(3);
    let ts = create_timestamp(1000);

    // Extreme price movements (flash crash scenario)
    sampler.update(100.0, 10.0, ts);
    sampler.update(50.0, 20.0, ts); // -50% drop
    let result = sampler.update(150.0, 30.0, ts); // +200% spike

    assert!(result.is_some());
    let bar = result.unwrap();

    assert_eq!(bar.open, 100.0);
    assert_eq!(bar.high, 150.0);
    assert_eq!(bar.low, 50.0);
    assert_eq!(bar.close, 150.0);
}

#[test]
fn test_tick_bar_timestamp_preservation() {
    let mut sampler = TickBarSampler::new(2);

    // Each bar should use first tick's timestamp
    let ts1 = create_timestamp(1000);
    let ts2 = create_timestamp(2000);
    let ts3 = create_timestamp(3000);

    sampler.update(100.0, 10.0, ts1);
    let bar1 = sampler.update(101.0, 20.0, ts2).unwrap();
    assert_eq!(bar1.timestamp, ts1); // First tick of bar

    sampler.update(102.0, 30.0, ts2);
    let bar2 = sampler.update(103.0, 40.0, ts3).unwrap();
    assert_eq!(bar2.timestamp, ts2); // First tick of second bar
}

#[test]
fn test_tick_bar_threshold_one() {
    // Edge case: threshold = 1 (every tick is a bar)
    let mut sampler = TickBarSampler::new(1);
    let ts = create_timestamp(1000);

    let result = sampler.update(100.0, 10.0, ts);
    assert!(result.is_some());

    let bar = result.unwrap();
    assert_eq!(bar.open, 100.0);
    assert_eq!(bar.high, 100.0);
    assert_eq!(bar.low, 100.0);
    assert_eq!(bar.close, 100.0);
    assert_eq!(bar.volume, 10.0);
}

#[test]
fn test_tick_bar_continuous_bars() {
    // Test forming multiple bars in sequence without interruption
    let mut sampler = TickBarSampler::new(2);
    let ts = create_timestamp(1000);

    let mut bar_count = 0;
    for i in 0..10 {
        let price = 100.0 + (i as f64);
        let volume = 10.0 + (i as f64);

        if let Some(_bar) = sampler.update(price, volume, ts) {
            bar_count += 1;
        }
    }

    // 10 ticks with threshold 2 = 5 bars
    assert_eq!(bar_count, 5);

    // Should have 0 ticks remaining
    assert_eq!(sampler.tick_count(), 0);
}

#[test]
#[should_panic(expected = "Threshold must be greater than 0")]
fn test_tick_bar_zero_threshold_panics() {
    TickBarSampler::new(0);
}